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Well summed up Ira..the only point you overlooked was the important
Fact that while risk is lowered as the timeframe reduces, so does
The reward, and usually at a greater rate and slippage and brokerage
become
A greater portion of the trade. Eventually you reach a timeframe where
the
Reward/risk deteriorates so much its simply not making as much money as
a
higher time frame when compounding is considered. That is your optimal
Point. This is where the highest TWR is achieved. See Ralph Vinces
book for
A definition of TWR.
Adrian
> -----Original Message-----
> From: ira [mailto:irat@xxxxxxxxx]
> Sent: Thursday, 4 July 2002 11:38 PM
> To: realtraders@xxxxxxxxxxxxxxx
> Subject: Re: HOLDING PERIOD...was RE: [RT] What happened to
> the Hurst cycle?
>
>
> Trading time frames is an interesting question as is the
> frequency of trading. If I posted 20 charts with the header,
> prices and time missing from the 3 sides of the chart, I
> would defy anyone to tell me whether the charts are daily,
> weekly or 3 min charts. A bar is a bar is a bar. No matter
> what system you use, if is governed by the bars action,
> whether you are using highs, lows, closes, or a combination
> of the three and a divisor, it is still price action. So if
> a system is viable it should work on any time frame. Let us
> leave out planetary influences as I am not conversant enough
> in that area to make an argument one way or the other, although the
> Delta system has a intra day function. If all charts are
> the same as far
> as content is concerned then the degree of risk would
> decrease with the reduction in time frames. The price range
> of a bar on a weekly chart should be greater then that on a
> daily chart and that on a daily chart should be greater then
> that on a 60 min. chart, etc., all the way down to a nano
> second chart. If price range is reduced, then risk is
> reduced, as a stop governed by price rather then pain would
> be actuated sooner. A stop on a daily chart might be 10
> points where the stop on a 3 min chart could be 1/2 a point.
> Trading is all about volatility, price range, over a specific
> period of time. Some items have to be traded over an
> extended period because of low volatility yet consistent
> movement in one direction. Others can be traded very easily
> on a 1 minute chart. both with the same degree of risk
> because the price range of the bars is comparable. A stock
> could move a 1/2 a point a day for $50 while the S&P moves
> 1/2 point a tick for $125 and grains a penny for $50. So if
> you are trading any system that is governed by price movement
> whether it be Gann, Eliot, Hurst, Fib. numbers then risk
> should be reduced as you step down in time frames and the
> compounding effect increased as the number of cycles,
> movements of price action up and down, occur more frequently.
> So if the bars, as an example, are cycling from low to low
> every 10 bars, then there would be 2 trades every 30 minutes
> on a 3 min. chart and every 10 days on a daily chart. There
> would be one trend trade and one contra trend trade. Granted
> that this is all dependent upon sufficient volatility to
> justify the trade, but
> the trades would be there. And yes, my system works in all
> time frames
> with varying degrees of risk, but the same degree of probability. Ira
> ----- Original Message -----
> From: "Adrian Pitt" <apitt@xxxxxxxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Sent: Thursday, July 04, 2002 5:02 AM
> Subject: RE: HOLDING PERIOD...was RE: [RT] What happened to
> the Hurst cycle?
>
>
> > M. Simms,
> >
> > The most optimal trading period in theory is the distance between
> > ticks.
> >
> > If you had a system which could trade from tick to tic and
> your costs
> > were less than one tick... And you could trade unlimited
> volume..then
> > in time you would own the universe.
> >
> > Now back to reality....the optimum time period all depends on your
> > system. Simple as that. A floor trader can compound returns far
> > quicker than any of us...but like any trader, that
> > isn't the real problem..the problem is you will run into difficulty
> > getting filled with low slippage.
> > Ultimately it ALWAYS becomes a trade-off of trying to trade
> as short a
> > time as possible to maximise compounding benefits but at
> the same time,
> > long enough that you can actually keep slippage in check so
> the systems
> > still keeps working. Once again, it all comes down to the system you
> > decide to use.
> > Answering which is the best system is a complex
> question..one best dealt
> > with by reading Ralph Vinces books.
> >
> > Adrian
> >
> > > -----Original Message-----
> > > From: M. Simms [mailto:prosys@xxxxxxxxxxxxxxxx]
> > > Sent: Thursday, 4 July 2002 8:41 AM
> > > To: realtraders@xxxxxxxxxxxxxxx
> > > Cc: Ed Kiers
> > > Subject: HOLDING PERIOD...was RE: [RT] What happened to the Hurst
> > > cycle?
> > >
> > >
> > > Jim - do you have any further research references that indicate :
> > > EXACTLY HOW SHORT OF A HOLDING PERIOD is optimal ?
> > >
> > > and of course, based on that HOLDING PERIOD, which should be
> > > equivalent to the AVG. LENGTH OF TRADE, what is the BAR INTERVAL
> > > that is best for that length. Once this is determined,
> then implied
> > > is the vital LENGTH OF TRADE to BAR INTERVAL ratio.
> > >
> > > What I am getting at is this:
> > > if your trades are averaging 21 trading hours or so,
> > > should the trader be using 15 min, 30 min, 1 hour, bars,
> or which ?
> > >
> > >
> > > > -----Original Message-----
> > > > From: Jim White [mailto:jwhite43@xxxxxxx]
> > > > Sent: Wednesday, July 03, 2002 5:51 PM
> > > > To: realtraders@xxxxxxxxxxxxxxx
> > > > Subject: Re: [RT] What happened to the Hurst cycle?
> > > >
> > > >
> > > > Unfortunately Norman, the data does not agree. Research has
> > > shown tha
> > > > ROI decreases with holding period - so taking quick
> profits and
> > > > compounding the results is the way to maximize profits.
> The data
> > > > is sighted in "A Random Walk Down Wall Street", page 404. Of
> > > course you
> > > > need a trading methodology
> > > > to reliably capture the short term moves.
> > > > Jim
> > > > ----- Original Message -----
> > > > From: "Norman Winski" <nwinski@xxxxxxxxxxxxxxx>
> > > > To: <realtraders@xxxxxxxxxxxxxxx>
> > > > Sent: Wednesday, July 03, 2002 2:38 PM
> > > > Subject: Re: [RT] What happened to the Hurst cycle?
> > > >
> > > >
> > > > >
> > > > > ----- Original Message -----
> > > > > From: "Jim White" <jwhite43@xxxxxxx>
> > > > > To: <realtraders@xxxxxxxxxxxxxxx>
> > > > > Sent: Wednesday, July 03, 2002 5:16 PM
> > > > > Subject: Re: [RT] What happened to the Hurst cycle?
> > > > >
> > > > >
> > > > > > I have followed the discussion on Hurst cycles with silence
> > > > > > but now I believe it is time to speak up. The Hurst book
> > > actually has
> > > > > > some very significant content however his
> > > > > basic
> > > > > > premise has been proven to be incorrect. Hurst presents
> > > > > > several
> > > > statements
> > > > > > with out verification. For example " The impact of wars,
> > > > > > global
> > > > financial
> > > > > > crisis, and all other similar events on market
> price action is
> > > > > > utterly negligible." It has been shown through the
> > > application of
> > > > chaotic models
> > > > > > that these impulses do have an impact although they are
> > > > limited in their
> > > > > > duration.
> > > > > > The use of static cycles to forecast future price
> > > movement is also
> > > > doomed
> > > > > to
> > > > > > failure. There have been many attempts to duplicate and
> > > forecast
> > > > > > price action with composite static cycles and all
> have failed
> > > > > > simply because
> > > > the
> > > > > > market is not composed of static cycles. Even an attempt to
> > > > > > determine
> > > > the
> > > > > > current dominant cycles will fail because the cycles will
> > > > change due to
> > > > > > lateset conditions. The new information may or may
> not be in
> > > > > > the
> > > > direction
> > > > > > of the old cycles.A much more likely composition, also
> > > supported
> > > > > > by
> > > > > studies
> > > > > > of chaotic models, is that the market is composed of dynamic
> > > > cycles with
> > > > > > diminishing amplitude. Since these cycles are always
> > > changing, due
> > > > > > to
> > > > the
> > > > > > latest impulse to impact the market, they are
> > > predictable only in
> > > > > > the
> > > > very
> > > > > > short term. The real value of Hurst's work is to show
> > > that profits
> > > > > > are maximized by short term trading. Jim White
> > > > >
> > > > > Jim,
> > > > >
> > > > > I was going to stay out of this until your last statement ".
> > > > > The real
> > > > value
> > > > > of Hurst's work is to show that profits are >
> maximized by short
> > > > > term trading." Most of the studies I have seen indicate that
> > > > > the more you
> > > > trade
> > > > > the greater your risk of ruin. Each time you trade you
> > > take a risk.
> > > > > The
> > > > more
> > > > > you trade, the greater the risk. Very few of the really
> > > big traders
> > > > > - investors such as George Soros or Warren Buffett made
> > > their money
> > > > > doing
> > > > alot
> > > > > of short term trades. The big money is made riding the
> > > big moves and
> > > > > not getting in and out. Some of the saviest traders I met
> > > during my
> > > > > Chicago
> > > > days
> > > > > made their big money on a few big moves. The short term
> > > > trading was just
> > > > > rent money. I propose to ammend the above statement to read,
> > > > > "...that brokers profits are maximized by short term trading."
> > > > >
> > > > > Regards,
> > > > >
> > > > > Norman
> > > > >
> > > > >
> > > > >
> > > > > > ----- Original Message -----
> > > > > > From: "Clyde Lee" <clydelee@xxxxxxxxxxxx>
> > > > > > To: <realtraders@xxxxxxxxxxxxxxx>
> > > > > > Sent: Wednesday, July 03, 2002 10:34 AM
> > > > > > Subject: Re: [RT] What happened to the Hurst cycle?
> > > > > >
> > > > > >
> > > > > > > More likely the parameters for generation of the
> > > prediction of
> > > > > > > the cycle were wrong.
> > > > > > >
> > > > > > > We will have to wait for the Centered Moving Averages
> > > to catch
> > > > > > > up with the data to make the kind of judgment you
> > > have made with
> > > > > > > insufficient data.
> > > > > > >
> > > > > > > Remember, the REALTIME values for the Hurst
> channels are an
> > > > > > > ATTEMPT to predict what the real values of the CMAs
> > > will be and
> > > > > > > that ATTEMPT to estimate can be really wrong at times.
> > > > > > >
> > > > > > > Everyone needs to understand that the attempt to estimate
> > > > > > > the realtime CMA values is strictly that -- an attempt.
> > > Currently
> > > > > > > we are using classical Fourier analysis and have limited
> > > > > > > ourselves to only 3 components to construct
> > > envelopes. We may
> > > > > > > be using too many or too few -- at this stage in
> > > development I
> > > > > > > do not have a good feeling of what it takes to better
> > > match the
> > > > > > > eventual values of the CMAs but you can bet we are
> > > still working
> > > > > > > on it.
> > > > > > >
> > > > > > > Clyde
> > > > > > >
> > > > > > > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > > > > > > Clyde Lee Chairman/CEO (Home of SwingMachine)
> > > > > > > SYTECH Corporation email: clydelee@xxxxxxxxxxxx
> > > > > > > 7910 Westglen, Suite 105 Office: (713) 783-9540
> > > > > > > Houston, TX 77063 Fax: (713) 783-1092
> > > > > > > Details at: www.theswingmachine.com
> > > > > > > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > > > > > >
> > > > > > > ----- Original Message -----
> > > > > > > From: "bondo92677" <bruce.larson@xxxxxxxxxxxxx>
> > > > > > > To: <realtraders@xxxxxxxxxxxxxxx>
> > > > > > > Sent: Wednesday, July 03, 2002 12:25 PM
> > > > > > > Subject: [RT] What happened to the Hurst cycle?
> > > > > > >
> > > > > > >
> > > > > > > > I guess we fell into the 10% of the time its wrong.
> > > > > > > >
> > > > > > > >
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